SP500_CAPM_ff5
Weiquan Luo
2020-02-21
Prerequisite
1. Asset Allocation
2 Capital Asset Pricing Model: Asset Anslysis
3. Fama French factors
3.1 Clustering
3.2 FF5 Asset Anslysis
Prerequisite
Baseline: SPY
Backtest period: 5 Years
Data time frame: Daily
1. Asset Allocation
2 Capital Asset Pricing Model: Asset Anslysis
3. Fama French factors
3.1 Clustering
## $hopkins_stat ## [1] 0.1153816 ## ## $plot
3.2 FF5 Asset Anslysis